For many the name Lehman Bros will bring to mind those TV news images from October 2008 when the Masters of the Universe were (temporarily) cowed and scuttled away with their cardboard box files. Overnight, it seemed, this behemoth of Wall Street had collapsed, lighting the fuse that precipitated the worst global financial crisis since the 1930s.

Sam Mendes returns to the National Theatre with the English language premiere of a powerful new play, first seen in Paris and Milan, which attempts to tell the story of how this might have happened. The story begins at Ellis Island in 1844 as Hayum (later Henry) Lehmann sets foot in America.

Simon Russell Beale in The Lehman Trilogy

It has the grand epic sweep to be a major HBO miniseries, but this is theatre and what makes this special is that the huge tale is told in three parts, over three and a half hours, using just three actors. Simon Russell Beale, Ben Cross and Adam Godley give virtuosos performances, switching genders and ages and evoking multiple characters with a subtle shift in posture, a change of voice, or by putting on a pair of spectacles or a hat. Their sombre attire throughout is the Orthodox Jewish frock coat of the original brothers yet they're located in a bleak modern office. That juxtaposition of modernity vs tradition is emblematic of this great play for this is all about going back to the roots.

Es Devlin's single set is a stunner. It comprises a large revolving glass box office, divided into quarters by glass panels and furnished by a sparse array of office furniture and those iconic archive boxes. Behind it is surrounded by a huge cyclorama onto which Luke Halls projects rapid, kaleidoscopic, video designs, while Nick Powell's piano music, played live on stage, is a stunning accompaniment to the story giving it at times the momentum of a great Philip Glass score.

Russell Beale starts us off as Henry, who landed in Alabama, of all places, and continued the family's humble origin, opening a general store. Soon he realised the future lay in wholesale cotton and impelled by his more ambitious and irascible brother, Emmanuel (Cross), he devises a new role as middle man - between the cotton plantations and the factory owners. Emmanuel's impulsiveness and Henry's caution is mediated by their younger and wiser brother, Mayer (Godley), who in time becomes the brains of the business.

The business model evolves to what we now know as investment banking and the next generation make their mark in New York, after surviving the economic destruction wrought by the Civil War. The family quickly establish themselves in New York, with grandson Bobbie also becoming an art collecting socialite. He knows that they key to the game is to "create a planet where nobody buys out of need, they buy out of instinct". Lehman's are in the beginning of everything, from the railways to computing.

It was he who in the 1960s also allowed the creation of a trading division which was to be led for the first time by non-family members. After his death in 1969 the family were in effect squeezed out and the excesses of that trading division led ultimately to the firm's demise. It was the removing of liabilities from its balance sheet, to create a misleading impression of stability, which sowed the seeds of the bank's later problems.

In essence the play is a fable, a great moral tale, but it also has a central flaw. It overly romanticises the noble ascent of early generations but races through the last 40 years with indecent haste. It was those years however which had the most potential for real drama, for that was when the morally bankrupt soon became actually bankrupt and too much of that feeding frenzy is glossed over.

The piece is a triumph, though, for Mendes, who draws performances of real depth from his great cast. The trio draw out the humanity and wit in these characters and delineate them beautifully. They keep it all afloat throughout its lengthy running time and any acting awards that come its way will have to be chopped in three.